In this contribution, we present full-rank observation equations of the network and user receivers, of mixed types, through an application of S-system theory. We discuss the important roles played by the inter system biases (ISBs), and we show how the three-component structure of PPP-RTK is affected by the inclusion of the ISBs as extra...

Care should be taken to minimize adverse impact of receiver differential code biases (DCBs) on global navigation satellite system (GNSS)-derived ionospheric parameters. It is therefore of importance to ascertain the intrinsic characteristics of receiver DCBs, preferably in the context of new-generation GNSS. In this contribution, we present a...

Swing options give contract holders the right to modify amounts of future delivery of certain commodities, such as electricity or gas. We assume that these options can be exercised at any time before the end of the contract, and more than once. However, a recovery time between any two consecutive exercise dates is incorporated as a constraint to...

We propose an efficient pricing method for arithmetic and geometric Asian options under exponential Lévy processes based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European style and American-style Asian options and for discretely and continuously monitored versions. In the present paper...

In the financial world, two tasks are of prime importance: model calibration and portfolio hedging. For both tasks, efficient option pricing is necessary, particularly for the calibration where many options with different strike prices and different maturities need to be priced at the same time. Therefore, a fast yet accurate pricing method is a...

In this article, we propose an efficient pricing method for Asian options with early–exercise features. It is based on a two–dimensional integration and a backward recursion of the Fourier coefficients, in which several numerical techniques, like Fourier cosine expansions, Clenshaw–Curtis quadrature and the Fast Fourier transform (FFT) are...

We propose an efficient pricing method for arithmetic, and geometric, Asian options under Levy processes, based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European–style and American–style Asian options, and for discretely and continuously monitored versions. In the present paper we...

In this contribution, a novel un-differenced (UD) (PPP-RTK) concept, i.e. a synthesis of Precise Point Positioning and Network-based Real-Time Kinematic concept, is introduced. In the first step of our PPP-RTK approach, the UD GNSS observations from a regional reference network are processed based upon re-parameterised observation equations,...

We analyze the efficiency properties of a numerical pricing method based on Fourier-cosine expansions for early-exercise options. We focus on variants of Schwartz’ model [20] based on a mean reverting Ornstein-Uhlenbeck process [23], which is commonly used for modeling commodity prices. This process however does not possess favorable properties...

Swing options give contract holders the right to modify amounts of future delivery of certain commodities, such as electricity or gas. In this paper, we assume that these options can be exercised at any time before the end of the contract, and more than once. However, a recovery time between any two consecutive exercise dates is incorporated as...

The acceleration of an option pricing technique based on Fourier cosine expansions on the Graphics Processing Unit (GPU) is reported. European options, in particular with multiple strikes, and Bermudan options will be discussed. The influence of the number of terms in the Fourier cosine series expansion, the number of strikes, as well as the...

Designers, engineers and ergonomists are seeking to exploit the opportunities offered by the 3D anthropometric technologies. These technologies make 3D measurements possible and provide us with a more detailed description of human body in comparison with the traditional 1D or 2D data processing. In many industrial design cases, there is a need...